Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0916 |
| Annualized Std Dev | 0.1559 |
| Annualized Sharpe (Rf=0%) | 0.5878 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3386.0000 |
| NAs | 1.0000 |
| Minimum | -0.0934 |
| Quartile 1 | -0.0041 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0004 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0053 |
| Maximum | 0.0781 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | 0.0001 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0001 |
| Stdev | 0.0098 |
| Skewness | -0.3911 |
| Kurtosis | 8.3641 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0072 |
| Gain Deviation | 0.0066 |
| Loss Deviation | 0.0078 |
| Downside Deviation (MAR=210%) | 0.0120 |
| Downside Deviation (Rf=0%) | 0.0070 |
| Downside Deviation (0%) | 0.0070 |
| Maximum Drawdown | 0.3750 |
| Historical VaR (95%) | -0.0146 |
| Historical ES (95%) | -0.0239 |
| Modified VaR (95%) | -0.0152 |
| Modified ES (95%) | -0.0292 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-12-11 | 2009-03-05 | 2010-03-17 | -0.3750 | 469 | 250 | 219 |
| 2020-02-18 | 2020-03-23 | 2020-09-02 | -0.2596 | 139 | 25 | 114 |
| 2018-01-30 | 2018-12-24 | 2019-07-18 | -0.1831 | 369 | 228 | 141 |
| 2011-05-20 | 2011-08-10 | 2012-03-05 | -0.1431 | 198 | 57 | 141 |
| 2016-07-11 | 2016-12-01 | 2017-06-05 | -0.1129 | 228 | 102 | 126 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.4 | -0.1 | -0.4 |
| 2007 | 0.6 | -2.7 | -0.2 | -0.4 | 0.5 | 1 | 0.2 | 0.5 | 0.1 | -2.1 | 0.7 | -0.7 | -2.4 |
| 2008 | 1.6 | -2 | -1 | 0 | 0 | -0.1 | -0.9 | -0.6 | 1 | 3.4 | -2 | 1.6 | 0.9 |
| 2009 | -0.8 | -2.6 | 0.8 | 0.1 | 3.1 | 2.1 | -0.8 | -0.9 | -0.7 | -1.3 | 1.7 | -0.3 | 0.3 |
| 2010 | -0.3 | -0.1 | 0.5 | 0.2 | -0.5 | 0 | 0.4 | 1.4 | 0.3 | -0.4 | 1.8 | 0 | 3.2 |
| 2011 | 0.5 | -1 | 0.7 | 0.6 | -0.9 | 0.9 | -0.8 | -0.6 | -1.3 | -1.6 | -0.1 | -0.6 | -4.3 |
| 2012 | 1 | 0.1 | 0.4 | -0.1 | -2.5 | 3.3 | -0.5 | 0.5 | 0.6 | 0.3 | 0.5 | 1.3 | 4.8 |
| 2013 | 0.6 | 0.1 | -0.2 | -0.4 | -1.7 | 0.1 | 1 | 0.1 | 0.6 | 0.1 | -0.4 | 0 | -0.2 |
| 2014 | 0.3 | 0.8 | 0.2 | -0.4 | 0.6 | 0.2 | 0.8 | -0.1 | -0.9 | 1.1 | -0.6 | -1.5 | 0.4 |
| 2015 | -2 | 0.4 | -0.1 | 1.2 | -0.2 | 1 | 0.6 | -2.2 | -0.1 | -0.8 | 1 | -1.1 | -2.4 |
| 2016 | 0.8 | 0.6 | 1.2 | 0.1 | 0.8 | -0.4 | -0.1 | -0.4 | 0.9 | -0.5 | -0.8 | -0.6 | 1.7 |
| 2017 | -0.7 | 0.5 | 0 | -0.5 | 0.9 | 0.2 | -0.1 | 0.5 | 0.3 | 0.4 | 0.1 | -0.1 | 1.4 |
| 2018 | -0.6 | -0.6 | 1.1 | -0.7 | -0.1 | -0.1 | -0.8 | 0.3 | -0.2 | 1.3 | 0.2 | 0.4 | 0.1 |
| 2019 | -0.5 | 0 | -0.4 | -1.4 | -1 | -0.1 | 0.1 | 0.2 | -0.5 | 0.1 | -0.2 | 0.3 | -3.3 |
| 2020 | -1.2 | -2.8 | -2 | -1.8 | 0.8 | -0.2 | -0.1 | -0.8 | 0.1 | -0.5 | 1 | 0.7 | -6.7 |
| 2021 | -0.1 | 0.7 | 0.3 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.9 |
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Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
